# encoding: UTF-8
from __future__ import division
from vnpy.trader.vtObject import VtBarData
from vnpy.trader.vtConstant import EMPTY_STRING
from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
BarGenerator,
ArrayManager)
########################################################################
class SARKELStrategy(CtaTemplate):
"""基于sar and Keltner 交易策略"""
className = 'SARKELStrategy'
author = u'BillyZhang'
# 策略参数
sarAcceleration = 0.02 #加速线
sarMaximum = 0.2 #
cciWindow = 20 # CCI窗口数
keltnerWindow = 25 # keltner窗口数
keltnerlMultiplier = 6.0 # 乘数
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
barMins = 15
barMinsClose = 10
# 策略变量
sarValue = 0 # sar指标数值
cciValue = 0 # CCI指标数值
keltnerup = 0
keltnerdown = 0
longStop = 0 # 多头止损
shortStop = 0 # 空头止损
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'sarAcceleration',
'sarMaximum',
'cciWindow',
'keltnerWindow',
'keltnerlMultiplier',
'initDays',
'fixedSize',
'barMinsClose',
'barMins']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'sarValue',
'cciValue',
'atrValue',
'intraBarHigh',
'intraBarLow',
'longStop',
'shortStop']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos',
'intraTradeHigh',
'intraTradeLow']
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(SARKELStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar, self.barMins, self.onXminBar) # 创建K线合成器对象
self.am = ArrayManager()
self.bgclose = BarGenerator(self.onBar, self.barMinsClose, self.onminBarClose)
self.amClose = ArrayManager()
# ----------------------------------------------------------------------
def onminBarClose(self, bar):
"""分钟作为清仓周期"""
# 如果没有仓位,那么不用care,直接skip
# 保存K线数据
amClose = self.amClose
amClose.updateBar(bar)
if not amClose.inited:
return
# 计算指标数值
self.sarValue = amClose.sar(self.sarAcceleration,self.sarMaximum)
# 判断是否要进行交易
if self.pos == 0:
return
# 当前无仓位，发送开仓委托
# 持有多头仓位
elif self.pos > 0:
self.cancelAll()
self.sell(self.sarValue, abs(self.pos), True)
# 持有空头仓位
elif self.pos < 0:
self.cancelAll()
self.cover(self.sarValue, abs(self.pos), True)
# 同步数据到数据库
self.saveSyncData()
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.bg.updateBar(bar)
self.bgclose.updateBar(bar)
# ----------------------------------------------------------------------
def onXminBar(self, bar):
"""收到X分钟K线"""
# 全撤之前发出的委托
self.cancelAll()
# 保存K线数据
am = self.am
am.updateBar(bar)
if not am.inited:
return
# 计算指标数值
self.cciValue = am.cci(self.cciWindow)
self.keltnerup, self.keltnerdown = am.keltner(self.keltnerWindow,self.keltnerlMultiplier)
# 判断是否要进行交易
# 当前无仓位，发送开仓委托
if self.pos == 0:
if self.cciValue > 0:
# ru
self.buy(self.keltnerup,self.fixedSize, True)
elif self.cciValue < 0:
self.short(self.keltnerdown, self.fixedSize, True)
# 同步数据到数据库
self.saveSyncData()
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
# ----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
关于VNPY基于SAR和肯特纳的交易策略是怎样的问题的解答就分享到这里了，希望以上内容可以对大家有一定的帮助，如果你还有很多疑惑没有解开，可以关注创新互联行业资讯频道了解更多相关知识。
